qualitative questionnaire - solo - update no. 1 · web viewquestions which should be answered using...

CEIOPS-DOC-89/1023 August 2010

Questions which should be answered using the EXCEL spreadsheet are formatted in Italic. The relevant spreadsheet table is indicated.

Please use this word document only for answering the other questions or indicating additional opinions that could not be answered through the use of the given spreadsheet format.<QSx>

In order to ease the treatment of your submission by the supervisors, please reply to the question filling the grey shaded area between the provided beginning and ending tags <Qx> and </Qx>, inserting as many lines as necessary. Please also give any other information that doesn’t follow the structure of the predefined questions at the beginning between the <Q0> and </Q0> tags. </QSx>

Participant:<QSP>

</QSP>

Local registration number: <QSR>

</QSR>

1/39© CEIOPS 2010

Quantitative Impact Study 5Questionnaire for Solo Firms (the internal model section is

not included)QS.0. Any other view you wish to express:<QS0>

</QS0>

Section 1 GeneralA. Preparedness for Solvency 2B. Quality-assessment of inputs and resultsC. Major practical difficulties when completing QIS5D. Assessment of the QIS5 methodologyE. Simplifications

A. Preparedness for Solvency 2

QS.1. Please describe and assess your undertaking’s overall preparedness for Solvency II with regard to the calculation of: EXCEL QUESTION:□ Fully prepared, all data available and no problems with methodologies.□ No problems with data, but problems with methodologies.□ No problems with methodologies, but problems with data.□ Do not feel prepared at all.□ (only for groups) Problems with some undertakings of the groupIf you have additional comments to the answers provided in the excel file, please describe them below.(a) technical provisions

<QS1a>

</QS1a>

(b) SCR<QS1b>

</QS1b>

(c) MCR<QS1c>

</QS1c>

(d) own funds<QS1d>

</QS1d>

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QS.2. EXCEL QUESTION: How prepared is your undertaking for the Solvency II regime with regard to resources and strategies?

□Fully prepared, all data available and no problems with methodologies.□ No problems with data, but problems with methodologies.□ No problems with methodologies, but problems with data.□ Do not feel prepared at all.

QS.3. If you do not feel fully prepared in regard to resources and implementation plan, what are the most important measures you have to take?Please rank your answers starting with Mesure 1. Please describe 1 measure per box in single sentence, 5 measures max.

Mesure 1:<QS3a>

</QS3a>

Mesure 2:<QS3b>

</QS3b>

Mesure 3:<QS3c>

</QS3c>

Mesure 4:<QS3d>

</QS3d>

Mesure 5:<QS1e>

</QS3e>

QS.4. EXCEL QUESTION: Please provide an estimate on the number of resources (in skilled person months), required …

…to complete QIS5. … for implementation of Solvency II.

actuarialITothertotal

QS.5. Any other comment you might want to share on your undertakings preparedness for Solvency 2:

<QS5>

</QS5>

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B. Quality-assessment of inputs and results:

QS.6. EXCEL QUESTION: Please provide an assessment of the quality of data and results (1 – poor; 2 – fair; 3 – good; 4 – excellent)

results input data

reliability appropriateness completeness accuracyTechnical provisions Best Estimate Risk Margin Valuation of assets and liabilities other than technical provisions

Undertaking specific parameters SCR standard formula market risk SCR standard formula Counterparty default risk SCR standard formula Life underwriting risk SCR standard formula Health underwriting risk SCR standard formula Non-Life underwriting risk SCR standard formula overallMCROwn funds

C. Major practical difficulties when completing QIS5

QS.7. What were your undertaking’s most important practical difficulties when completing QIS5? Please rank your answers starting with Difficulty 1. Please describe 1 difficulty per box in a single sentence, 5 difficulties

max. If you would like to provide additional information, please use the general comment box below (C.2).

Difficulty 1:<QS7a>

</QS7a>

Difficulty 2:<QS7b>

</QS7b>

Difficulty 3:<QS7c>

</QS7c>

Difficulty 4:<QS7d>

</QS7d>

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Difficulty 5:<QS7e>

</QS7e>

QS.8. Any other information on practical difficulties you might want to share:<QS8>

</QS8>

D. Assessment of the QIS5 methodology

QS.9. EXCEL QUESTION: Please provide your assessment of the QIS5 methodology

(1 – poor; 2 – fair; 3 –good; 4 – excellent)

rankDo you consider the QIS5 implementation of the standard formula to be an appropriate reflection of your solvency and risk position?Do you consider the QIS5 correlation matrices in the standard formula appropriate for the measurement of your solvency and risk position?Do you consider the QIS5 standard formula’s segmentation and design appropriate for the measurement of your solvency and risk position?Do you consider the QIS5 standard formula’s calibration appropriate for the measurement of your solvency and risk position?Do you consider the QIS5 implementation of the calculation of technical provisions to be a market-consistent assessment of the value of liabilities of your undertaking?Do you consider the QIS5 categorization of own funds and own funds tiering delivers own funds of an appropriate quality?

QS.10. If you are not convinced by the QIS5 methodology, what are your most important points of discrepancy?

Please rank your answers starting with Discrepancy 1. 5 discrepancies max.

Discrepancy 1:Choose a general area of the discrepancy: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, USP, Other<QS10a_area>

</QS10a_area>

Description of the discrepancy: <QS10a>

</QS10a>

Discrepancy 2:Choose a general area of the discrepancy: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, USP, Other<QS10b_area>

</QS10b_area>

Description of the discrepancy: <QS10b>

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</QS10b>

Discrepancy 3:Choose a general area of the discrepancy: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, USP, Other<QS10c_area>

</QS10c_area>

Description of the discrepancy: <QS10c>

</QS10c>

Discrepancy 4:Choose a general area of the discrepancy: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, USP, Other<QS10d_area>

</QS10d_area>

Description of the discrepancy: <QS10d>

</QS10d>

Discrepancy 5:Choose a general area of the discrepancy: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, USP, Other<QS10e_area>

</QS10e_area>

Description of the discrepancy: <QS10e>

</QS10e>

QS.11. Please elaborate, which parts of the standard formula you find most difficult to use. Please rank your answers starting with Difficulty 1. 5 difficulties max.

Difficulty 1:Choose a general area of the difficulty: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, Other<QS11a_area>

</QS11a_area>

Description of the difficulty: <QS11a>

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</QS11a>

Difficulty 2:Choose a general area of the difficulty: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, Other<QS11b_area>

</QS11b_area>

Description of the difficulty: <QS11b>

</QS11b>

Difficulty 3:Choose a general area of the difficulty: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, Other<QS11c_area>

</QS11c_area>

Description of the difficulty: <QS11c>

</QS11c>

Difficulty 4:Choose a general area of the difficulty: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, Other<QS11d_area>

</QS11d_area>

Description of the difficulty: <QS11d>

</QS11d>

Difficulty 5:Choose a general area of the difficulty: TP, OF, MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, Other<QS11e_area>

</QS11e_area>

Description of the difficulty: <QS11e>

</QS11e>

QS.12. Any other views on the QIS5 methodology you might want to share.<QS12>

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</QS12>

Section 2 Valuation

QS.13. In paragraph V.8 of the QIS5 technical specifications a concept of materiality is stipulated. Please explain your approach to the application of the concept of materiality for the valuation of assets and liabilities (other than technical provisions). How significant are the accumulated effects of your materiality decisions on the final QIS5 balance sheet?

<QS13>

</QS13>

QS.14. For the valuation of which assets and liabilities (other than technical provisions) have you used a mark to model approach? Why was it not possible to apply a mark to market approach? If an existing market value is not considered appropriate following V12, and a mark to model has been applied, please indicate the quantitative impact of the differences. How do you assess the uncertainty included in the valuation?

<QS14>

</QS14>

QS.15. According to the QIS5 technical specifications undertakings are required to recognise contingent liabilities for the solvency valuation (see page 17). Please provide a description of the contingent liabilities that were recognised in QIS5 and any practical difficulties encountered in their valuation.

<QS15>

</QS15>

QS.16. Intangible assets should be valued as set out on page 11 of the QIS5 technical specifications. Please describe the intangible assets that were recognised in QIS5 with a market value and provide input on the valuation basis used and on the compliance with the requirements set in the IAS38.

<QS16>

</QS16>

QS.17. According to page 15 of the QIS5 technical specifications, deferred tax assets should only be set up to the extent that future taxable profits are probable and where the realisation of the deferred tax asset is probable within a reasonable timeframe. Please indicate whether these provisions had an influence on the valuation of deferred tax assets in QIS5 and report on the quantitative impact.

<QS17>

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</QS17>

QS.18. Please indicate the methodology used to determine the initial recognition of financial liabilities (including own credit risk) as well as the impact of the adjustment on the fair value (spread and amount) on the subsequent measurement (no adjustment for own credit risk) for each category of financial liabilities.

<QS18>

</QS18>

QS.19. When using an internal economic model for the calculations of benefit obligations falling in the scope of IAS 19 please provide documentation on the model and provide the rationale why the model used provides for an economic valuation? Please provide explanation on the expected impact compared to the IFRS approach.

<QS19>

</QS19>

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Section 3 Technical provisions

Questions on illiquidity premia applied to the different liabilities of the undertaking

QS.20. INCLUDED IN THE CORE SPREADSHEET: For each interest rate term structure used in the calculation of the best estimate (i.e. separately for each currency and each percentage of illiquidity premium), undertakings should specify:

a) the amount of the best estimate which was discounted with this term structure;

b) the modified duration of the best estimate.QS.21. For each interest rate term structure used in the calculation of the best

estimate (i.e. separately for each currency and percentage of illiquidity premium), undertakings should describe the products corresponding to the best estimate discounted with this term structure.

50% bucket:<QS21a>

</QS21a>

75% bucket:<QS21b>

</QS21b>

100% bucket:<QS21c>

</QS21c>

Questions on transitional provisions in the discount rateQS.22. Undertakings should describe each contract type where transitional

provisions could be used according to the QIS5 technical specifications. This should be reported separately for each interest rate that would be used as a discount rate under these transitional provisions.

<QS22>

</QS22>

QS.23. For each contract where transitional provisions could be used, undertakings shall provide the result of the best estimate calculation applying the transitional provisions on the discount rate.

<QS23>

</QS23>

QS.24. Are there contracts other than those already identified in these technical specifications that undertakings would see as eligible for transitional provisions on the discount rate? Which ones? Why? What would be the

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impact? (please provide answers to questions QS22 and QS23 above for these contracts and the amount of the best estimates without transitional provisions)

<QS24>

</QS24>

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Set of questions regarding assumptions and methods

NON LIFE INSURANCE (including NSLT HEALT INSURANCE)60

QS.25. EXCEL QUESTION: Please use the following table to evaluate the assumptions and methods used to calculate technical provisions (in the table, please only refer to

assumptions and methods with a material impact). Please fill only cells relevant according to your activities.

Methodology to de-termine the values

Complexity re-quired (*) Reliability

Significance of the use of expert judgement

Data sources Records of relev-ant data

(satisfactory outputs / open to

challenge / not relev-ant for the undertak-

ing's activities)

(high / medium /low /

not material)

(high confidence / normal / limited confidence / not

material)

(high / medium / not material / ig-

nored)

Mostly internal data / mostly ex-

ternal data

Less than three years / between 3

and10 years / longer series of

dataClaims payments (premium provisions)

Expense payments (premium provisions)

Claims inflation (provisions for claims outstanding)

Timing of claims settle-ment (provisions for claims outstanding)

Claim payments (provi-sions for claims outstand-ing)

CAT claims (premium pro-visions)

Exercise rate of policy-holder options (premium provisions)

(*) where the undertaking applies simplifications, the questions refer to the simplified methods.

QS.26. Please, provide any additional comments you deem relevant to the previous table. In particular on how to assess/measure/test the reliability of the methods or assumptions used.

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<QS26>

</QS26>

QS.27. Please, explain the main methods used to calculate the best estimate of non-life premiums provisions.<QS27>

</QS27>

QS.28. Please, explain whether you intend to develop in the future the methods used in QIS5 to calculate the best estimate of non-life premiums provisions and how you envisage such development.

<QS28>

</QS28>

QS.29. Please, explain the main methods used to calculate the best estimate of non-life claim provisions, especially for long-tail claims

<QS29>

</QS29>

QS.30. Please, explain whether you intend to evolve in the future the methods used in QIS5 to calculate the best estimate of claims provisions and how you envisage such evolution.

<QS30>

</QS30>

QS.31. Have you obtained negative best estimates? If this is your case, please describe the products leading to these estimates.

<QS31>

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</QS31>

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LIFE INSURANCE (other than SLT HEALTH INSURANCE)QS.32. EXCEL QUESTION: Please use the following table to evaluate the assumptions and methods used to calculate technical provisions (in the table please only refer to


Methodology to as-sess the values to

useComplexity re-

quired (*) Reliability Significance of the use of expert

judgementData sources Records of relevant

data

(satisfactory out-puts / open to chal-lenge / not relevant

for the undertak-ing's activities)


not material)


material)


nored)Mostly internal data / mostly external data



dataBiometric assumptions

Expense assumptions

Inflation or revision rates of benefits

Exercise rate of policy-holder options

Assumptions about fu-ture discretionary be-nefits

Assumptions about fu-ture management ac-tions

Assumptions on CAT claims


QS.33. Please, provide any additional comments you deem relevant to the previous table. In particular on how to assess/measure/test the reliability of the methods/assumptions used.

<QS33>

</QS33>

QS.34. Please, provide on average the following information in respect of profit participation:

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a) proportion of best estimate for future discretionary benefits compared to total best estimate<QS34>

</QS34>

QS.35. Please, provide the following information in respect of the calculation of technical provisions as a wholea) proportion of technical provisions for unit-linked calculated as a whole

<QS35a>

</QS35a>

b) proportion of other technical provisions calculated as a whole<QS35b>

</QS35b>

c) description of the main products included in (b) where technical provisions have been calculated as a whole<QS35c>

</QS35c>

QS.36. Have you obtained negative best estimates? If this is your case, please describe the products leading to these estimates.

<QS36>

</QS36>

QS.37. Valuation of options and guarantees. a) Which type of options and guarantees do your insurance and reinsurance obligations include? Please provide a brief description

<QS37a>

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</QS37a>

b) How has the methodology used to calculate the best estimates captured the time value 1 of options and guaran-tees?

a) Monte Carlo simulation approach / b) Closed form stochastic approach / c) Attributed approach (as defined in TP.2.81) / d) Deterministic approach / or e) Other (please explain)<QS37b>

</QS37b> c) If using a Monte Carlo stochastic approach, how many scenarios are used? (please indicate number)

<QS37c>

</QS37c> d) If using a Monte Carlo stochastic approach, how accurately do the scenarios generally replicate the market price for representative financial instruments?

a) Less than 2% error / b) Between 2% to 4% error / c) Between 4% and 6% error / or d) More than 6% error

<QS37d>

</QS37d> e) If using the attributed probabilities approach, what method was used to derive the attributed probabilities?

<QS37e>

</QS37e> f) If a deterministic approach was used, please provide a brief description of the approach together with the tests carried out to ensure market consistency?

<QS37f>

1 The value of guarantees can be split between “intrinsic value” (i.e. the value if market conditions at the exercise date were to be the same as current conditions) and the “time value”, which is the difference between the current value of the guarantees and the intrinsic value and represents the opportunity for future value. Only a stochastic approach (e.g. simulation or closed form) can accurately determine the value of guarantees, i.e. including time as well as intrinsic value.

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</QS37f> g) In case you encountered practical problems in the valuation of options and guarantees please list the relevant op-tions and guarantees.

<QS37g>

</QS37g> h) What was the reason for your problems?

<QS37h>

</QS37h> i) How do you intend to solve the problems until the implementation of Solvency II?

<QS37i>

</QS37i>

QS.38. EXCEL QUESTION: Future management actions.A What management actions were assumed when calculating

best estimate liabilities?a) Future management actions have no material impactb) None, although they might have some material impactc) Exceptional reductions to profit participation payouts2 linked to the overall fin-ancial strength of the company / fundd) Amending discretionary benefitse) Changing the investment mix for assets backing liabilitiesf) Increasing the charges levied on policies in adverse circumstances; g) Other (please described)[Multiple answers accepted]

B. Please estimate the extent to which the use of management a) less than 2%;

2 Reductions in addition to normal reductions in bonuses following adverse experience, e.g. triggered by the solvency of the company and / or fund being seriously threatened

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actions have reduced the total best estimate that would oth-erwise be derived?

b) between 2% to 5%; or c) more than 5%

C. Please estimate the extent to which the use of management actions have reduced the best estimate corresponding future discretionary benefits or options and guarantees that would otherwise be derived?

a) less than 2%; b) between 2% to 5%; or c) more than 5%

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SLT HEALTH INSURANCEQS.39. EXCEL QUESTION: Please use the following table to evaluate the assumptions and methods used to calculate technical provisions (in the table, please only refer to



useComplexity re-

quired (*) Reliability Significance of the use of expert

judgementData sources Records of relevant

data




not material)


material)





dataBiometric assumptions

Expense assumptions

Inflation or revision rates of benefits

Exercise rate of policy-holder options

Assumptions about fu-ture discretionary be-nefits

Assumptions about fu-ture management ac-tions

Assumptions on CAT claims


QS.40. Please, provide any additional comments you deem relevant to the previous table. In particular on how to assess/measure/test the reliability of the methods/assumptions used.

<QS40>

</QS40> REINSURANCE RECOVERABLES

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QS.41. EXCEL QUESTION: In the case of reinsurance recoverable, please rank the assumptions used to calculate the technical provisions according the criteria shown in the first and second rows of each column:


useComplexity re-

quired (*) Reliability Significance of the

use of expert judgement

Data sources Records of relevant data

Scoring




not material)


material)



Less than three years / between 3 and10

years / longer series of data

Cash outflows projec-tions

Cash inflows projec-tions due to claims re-covered

Other cash inflows

Probability of default of reinsurer

Loss given default of reinsurer

Adjustment due expec-ted default

Allowance for CAT claims

(*) where the undertaking applies simplifications, the question refers to the simplified methods.

QS.42. Please, provide any additional comments you deem relevant to the previous table.<QS42>

</QS42> QS.43. Please provide comments on the treatment of SPV in the calculation of recoverable<QS43>

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</QS43> QS.44. Please describe which actuarial method you used to determine the best estimate and whether you used various

actuarial methods. <QS44>

</QS44>

OthersQS.45. Segmentation. Description of any material problem or uncertainty in the application of QIS5 criteria on segmentation

for the purposes of calculating technical provisions. <QS45>

</QS45> QS.46. Risk margin. QIS5 specifications allow for five possibilities to calculate the risk margin (nb: simplifications are only

applicable under the principle of proportionality). Please, provide approximate percentages about the use of each option (five percentages should complete 100 per cent)

a) Full calculation for all future SCR values without using approximations; <QS46a>

</QS46a> b) Calculation of future SCR values using approximate methods for individual risks or sub-risks;

<QS46b>

</QS46b> c) Approximate method for whole SCR for future years (proportional approach);

<QS46c>

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</QS46c> d) Estimate all future SCRs “at once” (duration approach); or

<QS46d>

</QS46d> e) Calculating risk margin as a fixed % of the best estimate

<QS46e>

</QS46e> QS.47. Risk margin. Regarding the calculation of ‘unavoidable market risk’, please provide information on

a) Quantitative importance (SCR unavoidable market risk compared to total SCR used for risk margin calculations)<QS47a>

</QS47a> b) Method used to calculate SCR unavoidable market risk

<QS47b>

</QS47b> QS.48. Simplifications. Do you consider that QIS5 specifications on the application of ‘proportionality principle’ are

sufficiently clear?<QS48>

</QS48> QS.49. Implied vs historic volatility. To calibrate your asset model, do you use historic or implied volatilities? (cf paragraph

TP 2.97)

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<QS49>

</QS49>

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QS.50. EXCEL QUESTION: Simplifications. Please fill in on approximate basis the following table on the use of simplifications

Simplification used in the calculation of the best estimate Proportion in respect total of technical provisions of each nature where simplification is used

Life insurance. Biometric risk factorsLife insurance. Surrender option

Life insurance. Financial options and guaranteesLife insurance. Investment guarantees

Life insurance. Other options and guaranteesLife insurance. Future discretionary benefitsLife insurance. Expenses and other charges

Life insurance. OthersNon life. Premiums provision. Method based on pro-rata of premiums

Non life. Premiums provision. Method based expected claims ratio (CR)Non-life. Outstanding claims provision. First simplification or sufficiently similarNon-life. Outstanding claims provision. Second simplification or sufficiently sim-

ilarNon-life. IBNR claims provision. First simplification or sufficiently similar

Non-life. IBNR claims provision. Second simplification or sufficiently similarReinsurance recoverable. Simplification 1. Based-duration formula

Reinsurance recoverable. Simplification 2. Based duration table

QS.51. If you have used others simplifications, please provide a general description of the method and the proportion in respect total of technical provisions of each nature where simplification is used

<QS51>

</QS51> QS.52. Simplifications. Do you consider that any other simplified method should be developed in the future on a

standardized basis? Please describe such method.<QS52>

</QS52>

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QS.53. Treatment of taxes. Please, comment on whether you have had problems to appropriately consider taxes in the calculation of technical provisions.

<QS53>

</QS53> QS.54. Do you consider that the rules to calculate technical provisions will lead to significant changes in the manner

you run their business? Please describe a) which are the expected changes, if any;

<QS54a>

</QS54a> b) the areas where those changes will impact.

<QS54b>

</QS54b> QS.55. INCLUDED IN THE CORE SPREADSHEET: According the QIS5 technical specifications future premiums stemming from the exercise of certain

renewal options are taken into account in technical provisions (see paragraphs TP.2.15-19 on the boundary of existing (re)insurance contracts). Please report about the impact of the allowance for future premiums on your technical provisions:

According the QIS5 technical specifications future premiums stemming from the exercise of certain renewal options are taken into account in technical provisions (see paragraphs TP.2.15-19 on the boundary of existing (re)insurance contracts). Please report about the impact of the allowance for future premiums on your technical provisions:

Estimated impact of the al-lowance of future premiums on % of the best estimate of a given LoB

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

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Legal expenses insurance

Assistance

Miscellaneous financial loss

Non-proportional casualty reinsurance

Non-prop. marine, aviation and transport reinsurance

Non-proportional property reinsurance

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Non-proportional health reinsurance

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance and Other Disability/Morbidity

Annuities stemming from non-life insurance contracts

Life - Accepted Reinsurance

QS.56. Do you consider that the boundary of an existing (re)insurance contract should be defined differently from what is set out in paragraphs TP.2.15-19 of the QIS5 technical specifications? What would the new definition be and what is its underlying rationale? How would your technical provisions change if the definition of the contract boundary was changed as you suggest?

<QS56>

</QS55> QS.57. Please, comment on any other topic not mentioned above, that you consider relevant for the calculation of technical

provision.<QS57>

</QS57>

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SCR Qualitative Questions

Market RiskQS.58. Undertakings are requested to indicate whether they are externally rated and,

where available, their ratings.<QS58>

</QS58> QS.59. EXCEL QUESTION: What is the composition of the assets in the ‘other equity’ category for your firm?

Risk Approximate proportion (%)Hedge fundsPrivate EquityCommodityNon EEA/OECD sharesInfrastructureInnovative EU-based projectsOther

QS.60. EXCEL QUESTION: How is your property investment held?

Risk Approximate proportion (%)Directly heldHeld through a property management companyHeld by an investment managerOther

QS.61. EXCEL QUESTION: For your covered bonds, what is the approximate market value and duration by rating class?

Rating AAA

AA A BBB BB B Lower than B unrated

Market valueAverage duration

QS.62. Undertakings should provide information on the amount invested in each financial instrument based on repackaged loans together with a description of the underlying exposure.

<QS62>

</QS62> QS.63. For each investment based on repackaged loans, undertakings should provide

a reasoned estimate of the investments that would not meet the 5% retention of net economic interest criteria and what the impact would be in terms of capital requirement.

<QS63>

</QS63> QS.64. INCLUDED IN THE CORE SPREADSHEET: For your exposures to governments and central banks denominated

and funded in the domestic currency (including in the EEA zone), what is the approximate market value and duration by country?

QS.65. EXCEL QUESTION: What proportion of the concentration risk charge relates to covered bonds over the 15% threshold?

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QS.66. EXCEL QUESTION:

a) What proportion of the technical provisions relates to cash-flows of a longer term than 30 years?

b) What is the average duration of these long term cash-flows?

ParticipationsQS.67. INCLUDED IN THE CORE SPREADSHEET: Information on financial and credit institutions:

The value according to subsection SCR.15.2 as at 31 December 2009 The own funds and the capital requirement of the financial and credit institutions

QS.68. INCLUDED IN THE CORE SPREADSHEET: Information on participations in insurance and reinsurance undertakings:

The value of the participations according to subsection SCR.15.2 The own funds and the SCR of the participated undertaking (where the SCR of the participated under-

taking according to these technical specifications is not available, the current capital requirement for that participation should be provided)

The percentage held in the participated undertaking

The information for participations in insurance and reinsurance undertakings is requested as at31 December 2009 and, where practicable, 31 December 2008 and 31 December 2007.

QS.69. What are the criteria that you followed to consider a participation as strategic?<QS69>

</QS69> Ring fenced fundsQS.70. What is the nature of the arrangement giving rise to ring fenced funds and the

nature of the restrictions which apply?<QS70>

</QS70> Non life and Health Non-SLT underwriting riskQS.71.

a) Please explain what practical issues you faced in determining the adjust-ments for non proportional reinsurance in the premium risk factors, including avail-ability of data, any data adjustments and any key assumptions you made.

<QS71a>

</QS71a> b) Do you have any practical suggestions for improvements that could be

made.<QS71b>

</QS71b> Life, non-life and health underwriting risk QS.72. What difficulties did you experience in calculating the various lapse shocks

needed for the lapse module.<QS72>

</QS72>

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Catastrophe Risk (Health and Non-life underwriting risk)QS.73. Please explain to what extent you have made use of approximations when

estimating total insured values by zone for natural catastrophe scenarios, including the extent to which actual data was available.

<QS73>

</QS73> QS.74. Please describe any practical difficulties you experienced in calculating the

various different man-made catastrophe scenarios, including the extent to which actual data was available or assumptions needed to be made.

<QS74>

</QS74> QS.75. Please compare your results from the standardised scenario / factor method

with results from your partial internal model where relevant.<QS75>

</QS75> Counterparty defaultQS.76.

a) What is the nature of the composition of your Type 1 exposures to counter-party default risk? What is the number of entities in your Type1 exposures to coun-terparty default risk?

<QS76a>

</QS76a> b) What is the nature of the composition of your Type 2 exposures to counter-

party default risk?<QS76b>

</QS76b>

Additional information on mortgage loansQS.77. INCLUDED IN THE CORE SPREADSHEET: Where relevant, undertakings should disclose these

additional information, separately for residential and commercial properties:

= the total mortgage exposure to all borrowers (i de-notes borrower i)

= the fully and completely secured part of the expos-ure to all borrowers (i denotes borrower i)

= The unsecured part of the exposure to all borrowers (i denotes borrower i)

The fully and completely secured part of the exposure is that part of the mortgage exposure that is covered by real estate property, after application of a haircut to the value of the real estate property. It should also meet the conditions given in Directive 2006/48/EC, appendix VI section 9.

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The haircut to be applied to the value of the real estate property is 25% for residential real estate property and 50% for commercial real estate property. Therefore, the fully and completely secured part of the exposure is equal to 75% of the value of residential real estate property, and 50% of the value of commercial real estate property.

Equivalent ScenarioQS.78. What method did you use to choose to calculate the single equivalent scenario

(based on gross or net inputs)?<QS78>

</QS78> Simplifications

QS.79. EXCEL QUESTION: In what area did you use SCR simplifications, and approximately what proportion of your SCR was subject to the simplification?

Simplification Used? Proportion of BSCRCredit SpreadMortalityLongevityDisability-MorbidityLife expenseLife lapseHealthCounter-party default

QS.80. EXCEL QUESTION: Do you consider the QIS 5 simplifications in the standard formula appropriate for the measurement of your risk position? (1 – poor; 2 – fair; 3 – good; 4 – excellent)

QS.81. If you do not consider the QIS 5 simplifications in the standard formula sufficient and adequate for the measurement of your risk position, please elaborate your most important criticism.Please rank your answers starting with Number 1. 3 points max.

Comment 1:<QS81a>

</QS81a>

Comment 2:<QS81b>

</QS81b>

Comment 3:<QS81c>

</QS81c>

QS.82. If in addition to the simplifications set out in the QIS5 technical specifications, you consider that additional simplifications are necessary, please describe which part of the calculation should be simplified and suggest a simplified calculation for this are.

Simplification 1:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82a_area>

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</QS82a_area>

Description of the simplification: <QS82a>

</QS82a>

Simplification 2:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82b_area>

</QS82b_area>

Description of the simplification: <QS82b>

</QS82b>

Simplification 3:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82c_area>

</QS82c_area>

Description of the simplification: <QS82c>

</QS82c>

Simplification 4:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82d_area>

</QS82d_area>

Description of the simplification: <QS82d>

</QS82d>

Simplification 5:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82e_area>

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</QS82e_area>

Description of the simplification: <QS82e>

</QS82e>

Simplification 6:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82f_area>

</QS82f_area>

Description of the simplification: <QS82f>

</QS82f>

Simplification 7:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82g_area>

</QS82g_area>

Description of the simplification: <QS82g>

</QS82g>

Simplification 8:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82h_area>

</QS82h_area>

Description of the simplification: <QS82h>

</QS82h>

Simplification 9:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82i_area>

</QS82i_area>

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Description of the simplification: <QS82i>

</QS82i>

Simplification 10:Choose a general area of the simplification: MCR, SCR-Market, SCR-Counterparty, SCR-Life, SCR-Health, SCR-Non-Life, SCR-aggregation, SCR-operational risk, Other<QS82j_area>

</QS82j_area>

Description of the simplification: <QS82j>

</QS82j>

QS.83. Any other comments on simplifications you might want to share.<QS83>

</QS83>

Undertaking-specific parametersQS.84. Undertakings are requested to indicate other parameters of the standard

formula that could be replaced by undertaking specific parameters.<QS84>

</QS84>

QS.85. Undertakings are requested to provide a description of other methods that could be used to determine the undertaking specific parameter.

<QS85>

</QS85>

QS.86.a) Please explain which methods you used to calculate Undertaking Specific

Parameters, and why. <QS86a>

</QS86b>

b) Please also explain the sources of data used for the calculations, including any adjustments / assumptions that were made.

<QS86b>

</QS86b>

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c) Please describe (with examples where possible) any practical issues you experienced in getting the data for the calculations.

<QS86c>

</QS86c>

d) What practical issues would you anticipate in meeting the data require-ments once Solvency II is implemented?

<QS86d>

</QS86d>

QS.87. Insurance and reinsurance undertakings shall adjust their data for inflation where the inflationary experience implicitly included in time series used is not representative of the inflation that might occur in the future, where this is considered to have a material impact – undertaking shall explain the approach taken.

<QS87>

</QS87>

Risk mitigation techniquesQS.88. Please describe the nature and extent of your risk mitigation techniques (e.g.

different types of reinsurance used, SPVs, risk mitigation instruments, rolling hedge programme etc).

<QS88>

</QS88>

QS.89. EXCEL QUESTION: Approximately how much greater would you SCR be if you did not have these risk mitigation techniques in place (%)

QS.90. EXCEL QUESTION: What proportion of the market value of the assets and liabilities exposed to each of the following market risks is hedged?

Risk Approximate proportion hedged (%)EquityInterestSpreadPropertyForeign Currency

QS.91. EXCEL QUESTION: Approximately how much larger do you consider your market risk SCR would be if you used no hedging? (%)

QS.92. Where in the case of credit derivatives the amount that the protection provider has undertaken to pay is higher than the exposure value then undertaking should provide further information on the nature of the risk mitigation technique.

<QS92>

</QS92>

Own fundsFeatures of other paid in capital instruments (e.g. preference shares, subordinated liabilities and subordinated members accounts)

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Where undertakings have other paid in capital instruments, they are asked to respond to the following questions: QS.93. If the instrument has a write-down mechanism, please explain how it works. If

the write-down only occurs at a trigger point, please explain the methodology and the basis for any future write-ups.

<QS93>

</QS93>

QS.94. If the instrument has a conversion feature/option, please explain how it works.<QS94>

</QS94>

QS.95. If the instrument utilises an alternative coupon satisfaction mechanism (ACSM), please explain how this works

<QS95>

</QS95>

Restricted reservesWhere undertakings have reported restricted, they are asked to respond to the follow-ing questions:QS.96. A description of the nature of the restricted reserves<QS96>

</QS96>

QS.97. Details of the legal or regulatory requirement that give rises to the restriction on the reserve

<QS97>

</QS97>

QS.98. Details of the risks that the reserve is available to cover and the risks that the reserve is not available to cover

<QS98>

</QS98>

QS.99. The amount of the reserve that was not included in Tier 1<QS99>

</QS99>

Expected Profit included in future premium QS.100. Does the approach set out in OF.2.4 provide sufficient clarity as to the

nature and scope of the calculation?<QS100>

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</QS100>

QS.101. Has an appropriate balance been achieved to ensure that the calculation is sufficiently granular to obtain meaningful results without imposing an undue or unnecessary burden on undertakings?

<QS101>

</QS101>

QS.102. Are there any specific technical aspects for which additional clarification is needed eg as between life and non-life business?

<QS102>

</QS102>

QS.103. What are your views on the general appropriateness of the methodology? If you consider the methodology to be appropriate, do you have any suggestions as to how the methodology can be developed further for practical application? If not, which alternative methods would you propose?

<QS103>

</QS103>

Ancillary own funds QS.104. What existing items do you currently count as own funds to meet the

solvency margin that would, subject to supervisory approval, constitute ancillary own funds under Solvency II?

<QS104>

</QS104>

QS.105. What other items which you do not currently count as own funds to meet the solvency margin do you intend to apply for supervisory approval in order to count that item as ancillary own funds under Solvency II?

<QS105>

</QS105>

QS.106. To what extent do you envisage entering into new arrangements that would, subject to supervisory approval, constitute ancillary own funds?

<QS106>

</QS106>

Transitional provisions

Tier 1QS.107. EXCEL QUESTION: For each instrument (or group of the same instruments) for which undertakings

consider that the transitional provisions for Tier 1 basic own funds apply, undertakings should set out which of the criteria in a-l are not met by the basic own-fund item and why transitional provisions are needed.

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Two worksheets have been provided to collect this data - one for preference shares (Pref Tier 1) and one for other subordinated liabilities (Sub. Li. Tier 1).

QS.108. INCLUDED IN THE CORE SPREADSHEET: For each instrument (or group of the same instruments) for which undertakings consider that the transitional provisions for Tier 1 basic own funds apply, undertakings should give details of:

- the issue date of the capital instrument;

- the maturity date; and

- where relevant the call date and/or step-up date.

Tier 1 Basic Own-Funds – Criteria for QIS 5 classification(a) The item should be the most deeply subordinated or in the case of other paid in capital instruments (OF.4(1)(g))

senior only to the most deeply subordinated Tier 1 item in a winding up. (b) The item should not cause or accelerate the insolvency of the insurance or reinsurance undertaking. The holder

of the instrument must not be in a position to petition for the insolvency of the issuer. The instrument should not be taken into account for the purposes of determining whether the institution is insolvent (either because it is treated as shareholders’ equity or it is not treated as a liability in determining balance sheet insolvency – i.e. whether liabilities exceed assets). The undertaking must be able to cancel coupon dividend payments without the risk of investors invoking default and triggering legal insolvency.

(c) The item is fully paid in and is immediately available to absorb losses. (d) The item absorbs losses at least once when the insurance or reinsurance undertaking breaches its Solvency

Capital Requirement and it should not hinder its re-capitalisation.

(e) The item is undated or has an original maturity of at least 10 years. The maturity date is deemed to be the first opportunity to repay or redeem the basic own-funds item unless there is a contractual obligation to replace the item with an item of the same or higher quality capital.

(f) The item is only repayable or redeemable at the option of the insurance or reinsurance undertaking, subject to approval from the supervisory authority and must not include any incentives to redeem or repay that item. Incentives to redeem can include but are not limited to step-ups associated with a call option,

(g) The item must provide for the suspension of the repayment or redemption if the insurance or reinsurance undertaking breaches its Solvency Capital Requirement or would breach it if the instrument is repaid or redeemed. The supervisory authority may waive the suspension of repayment or redemption of the item provided that it is exchanged for or converted into another item of equivalent or higher quality and the Minimum Capital Requirement is complied with.

(h) The insurance or reinsurance undertaking has full discretion over payment of coupon/dividend or other similar payments. For items in OF.4(1)(a) and (b) (ordinary share capital and equivalent items for mutuals) the level of distribution is not in any way tied or linked to the amount paid in at issuance and is not subject to a cap and there is no preference as to distribution of income or capital.

(i) In respect of other paid in capital instruments OF.4(1)(g), the item must provide for the cancellation of coupon/dividend or other similar payments if the insurance or reinsurance undertaking breaches its Solvency Capital Requirement or if paying the coupon/dividend would breach its Solvency Capital Requirement. The supervisory authority may waive the cancellation of the payment of interest or dividend provided that the payment does not further weaken the solvency position of the undertaking and the Minimum Capital Requirement is complied with.

(j) Where an insurance or re-insurance undertaking exercises its discretion or is required (because of actual or potential breach of the SCR) to cancel a coupon/dividend payment, there must be no requirement or entitlement to settle that payment at a future date. Alternative coupon satisfaction mechanisms (ACSM) may be permitted under the terms of the instrument only in the case of "other paid in capital instruments" (OF.4(1)(g)) where they provide for coupons/dividends to be settled through the issue of ordinary shares. The use of ACSM is only acceptable if it achieves the same economic result as the cancellation of the coupon (i.e. there is no decrease in own funds because the reduction of reserves by the amount of the coupon/dividend is matched by an increase in share capital). To meet this condition, any coupons not paid in cash should be satisfied without delay using unissued ordinary shares which have already been approved or authorised under national law or the appropriate statutes of the undertaking.

(k) The item must be free of any encumbrances and must not be connected with any other transaction, which when considered with the item could undermine the characteristics and features of that item. Examples of potential encumbrances include, but are not limited to: rights of set off, restrictions, charges or guarantees. Where an investor subscribes for capital in an undertaking and at the same time that undertaking has provided financing to the investor, only the net financing provided by the investor is considered as eligible own funds. In addition, adopting an economic approach and applying the principle of substance over form, where there is evidence of a group of connected transactions whose economic effect is the same as the holding of 'own shares', the assets that those transactions generate for the undertaking should be deducted from its own funds, to the extent necessary to guarantee that own funds reliably represent the net financial position of its shareholders, further to other allowed items.

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(l) Items in other paid in capital instruments (OF.4(1)(g)) must possess one of the following principal loss absorbency mechanisms for which the trigger event is a significant breach of the Solvency Capital Requirement: (a) the item automatically converts into either ordinary share capital or the initial fund at the trigger event; or (b) at the trigger event, the principal amount of the item is written down pari passu with retained earnings, by the amount of the breach of the Solvency Capital Requirement. The item can only be written back up again from future profits also on a pari passu basis once the undertaking complies with the Solvency Capital Requirement.A significant breach of the Solvency Capital Requirement is defined as the earlier of the following events (a) own funds are equal to or less than 75% of the Solvency Capital Requirement or (b) a breach of the Solvency Capital Requirement is not resolved within a two month period.

Tier 2QS.109. EXCEL QUESTION: For each instrument (or group of the same instruments) for which undertakings

consider that the transitional provisions for Tier 2 basic own funds apply, undertakings should set out which of the criteria in a-h in the table below are not met by the basic own-fund item.

Two worksheets have been provided to collect this data - one for preference shares (Pref Tier 2) and one for other subordinated liabilities (Sub. Li. Tier 2).

QS.110. INCLUDED IN THE CORE SPREADSHEET: For each instrument (or group of the same instruments) for which undertakings consider that the transitional provisions for Tier 2 basic own funds apply, undertakings should give details of

- the issue date; -the maturity date; and

- where relevant the call date and/or step-up date.

Tier 2 Basic Own-Funds – Criteria for QIS5 classification(a) The item should rank after the claims of all policyholders and beneficiaries and non-subordinated

creditors.(b) In the case of a capital instrument that is called up but not paid up, the instrument must meet the

criteria for tier 1 other than the item being fully paid in and being immediately available to absorb losses.

(c) The item will not cause or accelerate the insolvency of the insurance or reinsurance undertaking.

(d) The item is undated or has an original maturity of at least 5 years. The maturity date is deemed to be the first opportunity to repay or redeem the basic own-funds item unless there is a contractual obligation to replace the item with an item of the same or higher quality capital.

(e) The item is only repayable or redeemable at the option of the insurance or reinsurance undertaking, subject to approval from the supervisory authority and can include moderate incentives to redeem or repay that item. Incentives to redeem can include but are not limited to step-ups associated with a call option. Step-ups must not apply before 5 years from issue date and must not exceed the higher of 100bps or 50% of the initial credit spread in order to be considered moderate.

(f) The item must provide for the suspension of its repayment or redemption if the insurance or reinsurance undertaking breaches its Solvency Capital Requirement or would breach it if the instrument is repaid or redeemed. The supervisory authority may waive the suspension of repayment or redemption of the item as long the instrument is exchanged for or converted into an own-fund item of the same or higher quality capital and the Minimum Capital Requirement is complied with.

(g) The item must provide for the deferral of payments of interest or dividends or other similar payments if the insurance or reinsurance undertaking breaches its Solvency Capital Requirement or if paying the interest, dividends or other similar payments would breach the Solvency Capital Requirement. The supervisory authority may waive the cancellation of the payment of interest or dividend provided that the payment does not further weaken the solvency position of the undertaking and the Minimum Capital Requirement is complied with.

(h) The item should be free of any encumbrances and must not be connected with any other transaction, which when considered with the item could undermine that characteristics and features of that item. Examples of potential encumbrances include, but are not limited to, rights of set off, restrictions, charges or guarantees. Where an investor subscribes for capital in an undertaking and at the same time that undertaking has provided financing to the investor, only the net financing provided by the investor is considered as eligible own funds.

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